Multivariate Business Cycle Synchronization in Small Samples

• Autores: Bertrand Candelon, Jan Piplack, Stefan Straetmans
• Localización: Oxford bulletin of economics and statistics, ISSN 0305-9049, Vol. 71, Nº. 5, 2009, págs. 715-737
• Idioma: inglés
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• Resumen

  • In this paper, we study the degree of business cycle synchronization by means of a small sample version of the Harding and Pagan's [Journal of Econometrics (2006) Vol. 132, pp. 59–79] Generalized Method of Moment test. We show that the asymptotic version of the test gets increasingly distorted in small samples when the number of countries grows large. However, a block bootstrapped version of the test can remedy the size distortion when the time series length divided by the number of countries T/n is sufficiently large. Applying the technique to a number of business cycle proxies of developed economies, we are unable to reject the null hypothesis of a non‐zero common multivariate synchronization index for certain economically meaningful subsets of these countries.